The most spectacular reversal came in the Macro Systematic Index, which capped an impressive autumn rally in early November, with the strategy recovering all the ground it had lost since May’s major reversals, only to plunge back into a loss for the year.
Most strategies behaved in a similar way in the second half of November, with fears of inflation in emerging markets hitting some macro funds, the euro debt crisis raising its ugly head again and developed market government bond yields rising. We also saw some key currency trends reverse with the US dollar strengthening in particular, a move which would have hit systematic managers harder than most. Some of the bigger funds in the universe still managed to navigate November with no weekly losses at all.
We have included returns from all funds on the database, daily, weekly and fortnightly dealing, so readers have a complete picture of the performance of the universe we are currently tracking.
As we continue to populate the UCITS Hedge database, we will be launching further strategy indices. We expect to publish more as our underlying database of funds reaches the point where other strategy indices become meaningful. A fuller index methodology is published on our website and provides further detail on fund inclusion and index calculation.
The four strategy indices reported here represent the bulk of the total universe of funds in the database, while the master index tracks all those funds with hedge fund characteristics as defined by our methodology. In addition, we are also tracking a growing number of absolute return UCITS funds (i.e. with no benchmark index but also no active management of the short book) as part of our data gathering activities, although we will not be publishing an index using this data until the universe becomes more comprehensive.
All our indices are composed of UCITS III compliant hedge funds that are currently reporting to our database. The dominant strategies in the universe are long/short equity, event driven and macro, although we are also now publishing a master index that incorporates the performance of all the funds in the database, apart from absolute return funds and funds of funds. We publish both equal and asset weighted versions of each strategy index electronically for our database subscribers. In the hard copy editions of The Hedge Fund Journal we are using equal weighted indices.
The indices have a ‘live’ date of 1st January 2010, although performance as published here is to the end of November. Subscribers to our database will receive index performance data as part of their subscription package, and they are also available via our demo account facility.
To register your fund in the UCITS Hedge database, or to arrange a demo account if you are interested in subscribing, please email Stuart Fieldhouse at stuart.fieldhouse@ucitshedgefunds.com
